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A Fractional Integration Model with Autoregressive Processes

Author

Listed:
  • Guglielmo Maria Caporale
  • Luis Alberiko Gil-Alana

Abstract

This note puts forward a new modelling approach that includes both fractional integration and autoregressive processes in a unified framework. The proposed model is very general and includes other more standard approaches such as the AR(F)IMA models. Some Monte Carlo evidence shows that the suggested framework outperforms standard AR(F)IMA specifications in capturing the properties of the series examined.

Suggested Citation

  • Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2025. "A Fractional Integration Model with Autoregressive Processes," CESifo Working Paper Series 11984, CESifo.
    • Handle: RePEc:ces:ceswps:_11984
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    References listed on IDEAS

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    1. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    2. C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
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    Keywords

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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